Table 4 The empirical powers of the robust CUSUM test and the CUSUM test for dependent innovations
From: A robust test for mean change in dependent observations
CUSUM | RCUSUM | |||||
|---|---|---|---|---|---|---|
T = 300 | T = 500 | T = 1,000 | T = 300 | T = 500 | T = 1,000 | |
The change point \(\tau_{0}=0.3\) | ||||||
α = 1.97 | 0.348 | 0.848 | 0.995 | 0.921 | 1.000 | 1.000 |
α = 1.83 | 0.241 | 0.676 | 0.953 | 0.931 | 0.993 | 1.000 |
α = 1.41 | 0.111 | 0.242 | 0.409 | 0.944 | 0.997 | 0.997 |
α = 1.14 | 0.029 | 0.056 | 0.080 | 0.943 | 1.000 | 1.000 |
The change point \(\tau_{0}=0.5\) | ||||||
α = 1.97 | 0.931 | 0.995 | 0.997 | 0.993 | 1.000 | 1.000 |
α = 1.83 | 0.796 | 0.954 | 0.985 | 0.989 | 1.000 | 1.000 |
α = 1.41 | 0.285 | 0.456 | 0.605 | 0.990 | 1.000 | 1.000 |
α = 1.14 | 0.057 | 0.088 | 0.106 | 0.989 | 1.000 | 1.000 |
The change point \(\tau_{0}=0.7\) | ||||||
α = 1.97 | 0.937 | 0.997 | 0.997 | 0.949 | 1.000 | 1.000 |
α = 1.83 | 0.783 | 0.926 | 0.969 | 0.934 | 1.000 | 1.000 |
α = 1.41 | 0.238 | 0.373 | 0.553 | 0.938 | 0.997 | 1.000 |
α = 1.14 | 0.046 | 0.068 | 0.094 | 0.948 | 0.997 | 1.000 |